icici bank uk plc · icici bank uk plc basel iii – pillar 3 disclosures march 31, 2019 3 1....

ICICI Bank UK PLC

Basel III – Pillar 3 Disclosures

March 31, 2019

ICICI Bank UK PLC

Pillar 3 disclosures for the year ended

March 31, 2019

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March 31, 2019

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Table of Contents

1 Overview 3

2 Capital adequacy 5

3 Capital Resources 6

4 Minimum Capital Requirement: Pillar 1 7

5 Risk Management and Governance framework 8

6 Credit Risk 10

7 Market Risk 19

8 Operational and Conduct risk 21

9 Liquidity risk 22

10 Leverage ratio 23

11 Asset encumbrance 27

12 Exposures in equities not included in the trading book 27

13 Securitisation 27

14 Remuneration disclosure 27

Annexure I Transitional own funds disclosure template 31

Annexure II Main features of the capital instruments 38

Annexure III Geographical distribution of credit exposures relevant for the

calculation of the countercyclical capital buffer

41

Annexure IV Disclosure on Asset encumbrance

44

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1. Overview

1.1 Background

ICICI Bank UK PLC (“the Bank”) is authorised by the Prudential Regulation Authority (PRA) and

regulated by the Financial Conduct Authority (FCA). The Bank is a wholly owned subsidiary of

ICICI Bank Limited, India.

Capital Requirements Regulation (CRR) and Capital Requirements Directive (together referred

to as CRD IV) came into force on January 1, 2014 and enforced in the UK by the Prudential

Regulatory Authority (PRA), together with implementing rules and guidance by European

Banking Authority (EBA). The rules include disclosure requirements known as “Pillar 3” which

apply to banks and building societies.

This document details the Pillar 3 disclosure of the Bank and is in addition to the consolidated

Basel III – Pillar 3 Disclosures made by ICICI Bank Limited (“the Parent Bank”).

1.2 Basis of disclosures

The disclosures have been prepared for ICICI Bank UK PLC on an individual basis. There is no

subsidiary/joint venture of the Bank that is required to be consolidated for accounting or

prudential purposes. The disclosures may differ from similar information in the Annual Report

prepared in accordance with UK GAAP; therefore, the information in these disclosures may not

be directly comparable with that information. The Pillar 3 Disclosures have been prepared

purely for explaining the basis on which the Bank has prepared and disclosed certain capital

requirements and information about the management of certain risks and for no other purpose.

In accordance with Article 432 of the CRR, the Bank is permitted to exclude certain disclosures

if they contain proprietary or confidential information or are non-material.

1.3 Scope of application of Directive requirements

The Pillar 3 disclosures have been prepared for ICICI Bank UK PLC in accordance with the rules

laid out in the CRD IV guidelines as adopted by the PRA. These disclosures should be read in

conjunction with those made by the Parent Bank as part of their Basel III – Pillar 3 Disclosures.

The disclosures provide information on the Bank’s exposures, associated risk weights for

different categories of assets and approach to calculating the capital requirements for Pillar 1.

1.4 Frequency

This disclosure is made on an annual basis on the website of the Bank. The disclosures will be

as at the Accounting Reference Date (ARD), i.e. as at March 31st, and will be published along

with the publication of the Annual Report.

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1.5 Media and Location

The Annual Report will be published on the Bank’s website at

https://www.icicibank.co.uk/personal/about-us.page?. The Pillar 3 disclosures will also be

published on the Bank’s website at https://www.icicibank.co.uk/personal/basel-

disclosures.page. The Parent Bank’s consolidated disclosures for FY2019 are available at

https://www.icicibank.com/regulatory-disclosure.page?.

https://www.icicibank.co.uk/personal/about-us.page

https://www.icicibank.co.uk/personal/basel-disclosures.page

https://www.icicibank.co.uk/personal/basel-disclosures.page

https://www.icicibank.com/regulatory-disclosure.page?

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2. Capital adequacy

The Bank’s policy is to maintain an adequate capital base so as to maintain investor, creditor

and market confidence and to sustain future development of the business. The Bank’s

approach to managing capital is designed to ensure that current and expected regulatory

capital is met. The Bank maintains adequate surplus capital over the regulatory requirement.

The Bank’s regulatory capital requirements are set and monitored by the PRA. The Bank

implemented the CRD IV (Basel III) framework for calculating minimum capital requirements,

with effect from January 1, 2014.

The Bank’s regulatory capital is categorized into two tiers:

Tier 1 capital, which includes ordinary share capital, retained earnings and regulatory

adjustments to Tier 1 capital.

Tier 2 capital, which includes qualifying subordinated liabilities, collective provision and

regulatory adjustments to Tier 2 capital.

Various limits are applied to the elements of the capital base. Qualifying Tier 2 capital cannot

exceed Tier 1 capital. There are also restrictions on the amount of collective provision that may

be included in Tier 2 capital. There are regulatory adjustments applied to the computation of

regulatory capital under the CRD IV guidelines.

The amount and composition of the Bank’s capital requirement is determined by assessing the

minimum capital requirements under Pillar 1 based upon the Capital Requirements Directive,

the impact of stress and scenario tests and the Bank’s Total Capital Requirement (earlier known

as Individual Capital Guidance).

The Bank uses regulatory capital ratios in order to monitor its capital base and these capital

ratios remain the international standards for measuring capital adequacy. The PRA’s approach

to such measurement under CRD IV is primarily based on monitoring the Capital Resource

Requirement to available capital resources. The Bank continues to comply with the regulatory

capital requirements.

In line with the regulatory requirements of PRA and the Parent Bank’s regulator Reserve Bank

of India (RBI), the Bank has instituted an Internal Capital Adequacy Assessment Process (ICAAP)

which is used to estimate the capital requirements in line with the risk appetite of the Bank.

The ICAAP is approved by the Board of the Bank at the start of each financial year.

Capital is provided for the purposes of unforeseen and unexpected events based on the risk

assessment for each of the underlying asset class in the Bank’s portfolio. Further, in line with

industry practice, the Bank acknowledges that capital is not the only mitigating factor for all

unforeseen events and contingencies. Therefore, appropriate risk management and

governance practices are in place to actively monitor the risks the Bank is exposed to in the

course of executing its business. Further information on the Bank’s risk management and

governance is provided in subsequent sections and details are available in the Bank’s Annual

Report for the year ended March 31, 2019.

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3. Capital resources

At March 31, 2019, the capital ratio remained adequate at 16.84%, with a Tier 1 capital ratio of

12.93% which is above the regulatory requirements. The following tables summarises the

capital position and detail the capital resources of the Bank as at March 31, 2019.

3.1 Capital ratios

Particulars Ratio

Tier 1 12.93%

Tier 2 3.91%

Total capital 16.84%

3.2 Available capital

Particulars USD million

Tier 1 Capital 442.8

Tier 2 Capital 133.7

Total available Capital 576.5

3.3 Composition of Tier 1 capital


Permanent share capital 420.1

Retained earnings 34.1

Available for Sale security reserve1 (10.6)

Other adjustments2 (0.8)

Total Tier 1 capital 442.8

3.4 Composition of Tier 2 capital


Subordinated notes 121.3

Collective impairment allowance 12.4

Total Tier 2 Capital 133.7

The value of the subordinated notes eligible as capital are determined in accordance with the

CRD IV. During the year, the Bank raised Tier 2 capital of SGD 100.0 million (~USD 73.8 million)

under its Medium Term Note Program.

1The capital impact is net of tax

2Other adjustments include deduction on account of Article 33 (debit value adjustments) and Article 34

(additional value adjustments) of CRR, Article 36 (deduction on account of intangible assets).

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The details of the subordinated notes in issue before regulatory adjustments are given below:

Issue Nature of Issue

Interest

Rate

(p.a.)

Interest

frequency Maturity

Currency

Amount

in

million

23-Nov-10

Unsecured

subordinated fixed

rate notes due 2020

7.00% Semi

annually

Bullet payment in

November 2020 USD 150.0

26-Sep-18

Unsecured, fixed

rate reset, callable,

subordinated notes

5.38% Semi

annually

First call in

September 2023,

Maturity in

September 2028

SGD 100.0

3.5 Reconciliation with Balance Sheet


Shareholders' equity as per the balance sheet 454.3

Less: Capital contribution (10.7)

Less: Additional value adjustments (0.7)

Less: Gains or losses on liabilities at fair value resulting from own credit (0.0)

Less: Intangible assets (0.1)

Common Equity Tier 1 capital 442.8

Additional Tier 1 capital -


Eligible amount of Tier 2 instruments 121.3

General credit risk adjustments (Collective provision) 12.4


Total regulatory capital 576.5

3.6 Transitional own funds disclosure and Capital instruments’ main features

template

Transitional own funds disclosure template is provided in Annexure I. Disclosure on main

features of the capital instruments is given in Annexure II.

4. Minimum Capital Requirement

4.1 Pillar 1

Banking operations are categorized as either trading or banking book, and risk-weighted assets

are determined according to specified requirements that seek to reflect the varying levels of

risk attached to assets and off balance sheet exposures.

The Bank determines its Pillar 1 regulatory capital requirement based on the following

approaches:

Credit risk - standardized approach

Operational risk – basic indicator approach

Market risk - standardized approach adopting the following methodologies:

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Interest rate risk – Maturity Ladder approach

Foreign exchange risk – Standardized approach

Options risk – Standardized approach

The following table summarises the Bank’s Pillar 1 capital requirement as at March 31,

2019 for various risk types:

Capital requirement for USD million

Credit Risk4 261.7

Market Risk5 0.0

Operational Risk 12.2

Total Capital Resource requirement under Pillar 1 273.9

4.2 Pillar 2A

The Bank’s Pillar 2A requirement as per the PRA’s Total Capital Requirement, (earlier known as

Individual Capital Guidance) applicable as at March 31, 2019 was 2.20% of Total Risk Exposure

Amount.

4.3 Countercyclical capital buffer

The countercyclical capital buffer (CCyB) aims to ensure that banking sector capital

requirements take account of the macro-financial environment in which banks operate. Its

primary objective is to use a buffer of capital to achieve the broader macro-prudential goal of

protecting the banking sector from periods of excess aggregate credit growth that have often

been associated with the build-up of system-wide risk.

In United Kingdom, Financial Policy Committee is responsible for recognizing or setting up of

CCyB rates in respect of foreign exposures.

During June 2017, the Financial Policy Committee (FPC) raised UK countercyclical buffer rate

from 0% to 0.5%, to apply from June 2018 and during November 2017, FPC further increased it

to 1% with binding effect from November 2018.

A geographical CCyB disclosure has been included in Annexure III.

5. Risk Management and Governance framework

The Bank has a centralised Risk Management Group with a mandate to identify, assess and

monitor all its principal risks in accordance with defined policies and procedures. The Risk

Management Group is independent of the business units and the Head of Risk reports directly

to the Managing Director and Chief Executive Officer, and also has reporting lines to the Risk

Management Group of the Parent Bank and the Chairman of the Board Risk Committee.

4This includes the impact of Credit Value Adjustment (CVA) to recognise the adjustment on account of

change in fair value of Derivative assets that are due to changes in Counterparty’s credit risk

5As per Article 351 of CRR, the institutions are required to calculate own funds requirement for Market

Risk if the overall open position exceeds 2% of the total own funds. ICICI Bank UK Plc had an open

position of USD 1.8 million which is less than 2% of the total own funds.

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The Bank has developed a risk appetite framework articulated within the broader context of the

nature, scope, scale and complexity of the Bank’s activities. The framework is based on both

quantitative parameters such as capital, liquidity and earnings volatility as well as qualitative

parameters such as conduct and reputational risk. The risk appetite statement has been further

drilled down into portfolio-level limits, which include limits on country of risk and credit ratings

of loans. The risk appetite framework and related limits are approved by the Board of Directors.

The Risk Management Group of the Bank monitors adherence to the risk appetite framework

and reports on it to the Board Risk Committee on a quarterly basis.

The Bank operates within a comprehensive risk management framework to ensure that the key

risks are clearly identified, understood, measured and monitored and that the policies and

procedures established to address and control these risks are strictly adhered to. The

outcomes of each of these risk management processes have been used to identify the material

risks that the Bank is exposed to. The Bank is primarily exposed to credit risk, market risk

(predominantly interest and exchange rate risk), liquidity risk and operational risk (including

compliance, conduct and reputational risk). The Bank’s largest regulatory capital requirements

arise from credit risk in its lending operations.

The Bank’s corporate governance framework is based on an effective independent Board, the

separation of the Board’s supervisory role from the executive management of the Bank and the

constitution of Board Committees to oversee critical areas and functions of executive

management. The Board is committed to maintaining high standards of corporate governance.

During the year, Mr. Sudhir Dole, MD & CEO completed his assignment in the UK and re-joined

ICICI Bank Limited, Mumbai India. He was replaced by Mr. Loknath Mishra as the MD & CEO

effective November 01, 2018. The Bank has a total number of five Non-Executive Directors and

one Executive Director on the Board. Two of the Non-Executive Directors are representatives of

the Bank’s Parent Bank, ICICI Bank Limited, and three are independent.

The Bank operates three line of defence model including independent control groups such as

Compliance, Risk, Internal Audit, Finance and Legal to facilitate independent evaluation,

monitoring and reporting of various risks. These support groups function independently of the

business groups and are represented at the various Committees.

Effective corporate governance and compliance is a prerequisite to achieving the Bank’s

strategic objectives. The Bank has maintained a strong focus on controls, governance,

compliance and risk management to provide a sound foundation for the business. It ensures

embedding of a control and compliance culture throughout the organization. This is achieved

through appropriate training, maintaining adequate resources within the control groups

commensurate with the Bank’s operations, continuous strengthening of internal systems and

processes and effective deployment of technology. Information technology is used as a

strategic tool for the Bank’s business operations, to gain a competitive advantage and to

improve its overall productivity and efficiency.

The Bank has adopted a governance framework in line with the corporate governance practices

adopted by other UK financial institutions. The Board is assisted by its sub-committees, the

Audit Committee, the Board Governance Committee (BGC), the Board Risk Committee (BRC),

Board Credit Committee (BCC) and the Board Conduct Risk Committee (BCRC), and follows

ICICI Group’s overall risk management framework. The Board has delegated certain powers to

these sub-committees. The Bank has an established governance framework with clear terms

and reference and mandate for these Committees. The Board has delegated responsibility for

the day-to-day management of the Bank to the Managing Director and Chief Executive Officer.

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In this role, the Managing Director and Chief Executive Officer is supported by the Management

Committee, which he chairs. The Management Committee is supported by various other

committees, which include the Executive Credit and Risk Committee (ECRC), the Asset Liability

Management Committee (ALCO), the Compliance Conduct and Operational Risk Management

Committee (CORMAC), Product and Process Approval Committee (PAC) and the Information

Security Committee (ISC). A total of nine Board Risk Committee meetings were held during the

year ended March 31, 2019.

The Bank has established an Information Security Risk Management Framework (ISRMF) for the

management of information security (IS) related risks including cyber risk at the Bank, within

the guidelines of the Group Information Security Policy. The Information Security Committee

(ISC) and Board Risk Committee is periodically updated on cyber threats and various measures

taken by the Bank mitigating cyber security risks and threats.

Further information is provided in the Annual Report for the year ended March 31, 2019.

6. Credit Risk

6.1 Credit risk overview

Credit risk is the risk that losses may arise as a result of the Bank’s borrowers or market

counterparties failing to meet obligations under a contract. The Bank’s largest regulatory capital

requirements arise from credit risk in its lending operations.

The Bank has developed a risk appetite framework articulated within the broader context of the

nature, scope, scale and complexity of the Bank’s activities. The risk appetite framework and

related limits are approved by the Board of Directors. All credit risk related aspects are

governed by the Credit Risk Management Policy (CRMP) of the Bank, which is approved and

reviewed annually by the Bank’s Board Credit Committee. The CRMP describes the principles

which underpin and drive the Bank’s approach to credit risk management together with the

systems and processes through which they are implemented and administered. It lays down a

structured credit approval process and covers the credit rating framework, collateral

management framework and provisioning policy.

The Credit Risk team is also responsible for the following with respect to managing the Bank’s

credit risk- developing credit policies, establishing the delegation of sanctioning powers,

limiting and monitoring concentrations of exposure and performing periodic credit stress tests

on the Bank’s portfolio. The delegation structure for approval of credit limits is approved by the

Board Credit Committee. Credit proposals are approved by the Executive Credit and Risk

Committee (ECRC) or the Board Credit Committee (BCC) based on, inter alia, the amount and

internal risk rating of the facility. All credit proposals put up to the BCC have to be evaluated by

the ECRC. Concentration risk arises from significant exposures to groups of counterparties

where likelihood of default is driven by common underlying factors, e.g. sector, economy,

geographical location, instrument type. The key parameters of risk concentrations measured in

the Bank include sectoral, country, rating category based, product specific exposures,

counterparty and large exposures. To manage these risks, limits have been stipulated in the risk

appetite framework.

Credit quality is monitored on an ongoing basis but can also be triggered by any material credit

event coming to the Bank’s notice through either primary or secondary sources. The Bank has

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March 31, 2019

11

established a Credit Forum, which is comprised of Heads of Businesses and the Head of Risk.

The Credit Forum focuses on management & monitoring of impaired and watch list

assets/investments and also monitors developments in the Bank’s portfolio through the Early

Warning Indicators (EWI) framework to identify potential vulnerabilities. Credit risk is also

managed at the portfolio level by monitoring and reporting risk dashboards to the BCC at

specified intervals.

The Bank has a policy on collateral management and credit risk mitigation which provides

guidance for identifying eligible collateral as per the relevant articles of the Capital

Requirements Regulation (CRR).


6.2 Minimum capital requirement

The following table shows the Bank’s Pillar 1 capital requirement as at March 31, 2019 by each

of the standardised credit risk exposure classes:

Standardised approach – asset class USD million

Central government or central banks -

Institutions 20.6

Corporate 186.5

Secured by mortgages on immovable property 32.2

Retail -

Exposures in Default 5.9

Securitised investments 2.2

Short term claims on institutions and corporates 7.0

Equity 0.5

Other items (including CVA adjustment) 6.8

Total 261.7

6.3 Analysis of credit risk exposures

The following tables detail the Bank’s regulatory credit risk exposures as at March 31, 2019. All

exposures are stated after specific impairment provisions and post application of credit risk

mitigation (CRM) techniques with substitution effects on the exposure and before application of

any conversion factors (CCF).

(i) Analysis of exposure by asset class as at March 31, 2019

Asset class Amount

(USD million)

Central government or central banks 546.9

Institutions 565.8

Corporate 2,887.8

Secured by mortgages on immovable property 470.4

Retail -

Exposures in Default 63.1

Securitised investments 44.1

Claims on Institutions and Corporates with a short-term credit 196.8

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Asset class Amount

(USD million)

assessment

Equity 6.5

Other items 52.7

Total 4,834.1

(ii) Geographic distribution of exposures (based on country of residence or domicile) by

significant asset class as at March 31, 2019

Asset class Europe and

North

America

India Rest of the

world

Total

(USD million)

Central government or central banks 546.9 - - 546.9

Institutions 137.1 428.7 0.0 565.8

Corporate 2,363.4 267.6 256.8 2,887.8

Secured by mortgages on

immovable property 458.9 - 11.5 470.4

Retail - - - -

Exposures in Default 41.5 - 21.6 63.1

Securitised investments 44.1 - - 44.1

Claims on Institutions and

Corporates with a short-term credit

assessment 142.8 38.5 15.5 196.8

Equity 5.9 0.6 - 6.5

Other items 52.7 - - 52.7

Total 3,793.3 735.4 305.4 4,834.1

(iii) Residual maturity breakdown of exposures by significant asset class as at March 31, 2019

Asset class Upto 3

months

Over 3

months

upto 1

year

Over 1

year upto

5 years

Over 5

years

No stated

maturity

Total

(USD

million)

Central government or central

banks 336.8 187.5 10.1 12.5 - 546.9

Institutions 65.9 176.0 279.9 44.0 - 565.8

Corporate 442.5 756.6 913.7 775.0 - 2,887.8

Secured by mortgages on

immovable property 3.6 63.9 397.5 5.4 - 470.4

Retail - - - - - -

Exposures in Default - - - 63.1 - 63.1

Securitised investments - - - 44.1 - 44.1

Claims on Institutions and

Corporates with a short-term

credit assessment 196.8 - - - - 196.8

Equity - - - - 6.5 6.5

Other items 0.2 - - - 52.5 52.7

Total 1,045.8 1,184.0 1,601.2 944.1 59.0 4,834.1

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The maturity of exposures is shown on a contractual basis and does not take into account any

instalments receivable over the life of the exposure. Hence the actual maturity may be different.

6.4 Analysis of credit risk exposures as per Credit Quality Step (CQS)

The Bank uses external credit assessments provided by Moody’s, Standard & Poor’s and Fitch.

These are all recognised as eligible external credit assessment institutions (ECAI) under CRR for

the purpose of calculating credit risk requirements under the standardised approach.

The following table details the ECAIs used for the standardised credit risk exposure classes.

Asset class ECAI

Central government or central banks Standard & Poor’s, Moody’s, Fitch

Institutions Standard & Poor’s, Moody’s, Fitch

Corporate Standard & Poor’s, Moody’s, Fitch

Securitised investments Standard & Poor’s, Moody’s, Fitch

Claims on Institutions and Corporates with a short-

term credit assessment Standard & Poor’s, Moody’s, Fitch

The bank assigns each of its exposures to one of the CQS with reference to relevant issuer and

issue credit assessments. Risk weight percentage are then determined with reference to

exposure class, CQS, and maturity of the exposure. The mapping of the CQS to the ratings of

eligible ECAIs is available at:

http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32016R1799&from=EN

The following tables detail the standardised credit risk exposures by CQS for significant asset

classes. All exposures are stated after specific impairment provisions and post application of

credit risk mitigation (CRM) techniques with substitution effects on the exposure and before

application of any conversion factors (CCF) and also after application of any conversion factors

(CCF).

http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32016R1799&from=EN

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CQS for corporate exposure Risk

weight %

Before CCF and

CRM

USD million

Post CCF and CRM

USD million

1 20% 58.3 57.3

2 50% 245.5 30.2

3 100% 475.9 334.4

4 100% 719.6 646.1

5 150% 291.3 283.6

6 150% - -

Unrated 100% 1,166.8 900.7

Unrated – Exposure in default 100% 40.6 40.6

Unrated – Exposure in default 150% 22.4 22.4

Total 3,020.4 2,315.3

CQS for exposures secured by mortgages

on immovable property

Risk

weight %

Before CCF

and CRM

USD million

Post CCF

and CRM

USD million

Unrated 35% 100.8 100.8

Unrated 100% 369.6 369.6

Total 470.4 470.4

Before CCF and CRM:

CQS for institutional exposure

Risk weight % USD million

2% 20% 50% 100% Total

1 - 14.3 - - 14.3

2 - 40.2 54.9 - 95.1

3 - 23.7 276.9 1.5 302.1

4 - - 25.0 32.1 57.1

5 - - - - -

6 - - - - -

Unrated 15.7 12.0 - - 27.7

Total 15.7 90.2 356.8 33.6 496.3

Post CCF and CRM:

CQS for institutional exposure

Risk weight % USD million

2% 20% 50% 100% Total

1 - 14.0 - - 14.0

2 - 40.2 54.9 - 95.1

3 - 23.2 333.6 0.2 357.0

4 - - 25.0 32.1 57.1

5 - - - - -

6 - - - - -

Unrated 15.7 12.0 - - 27.7

Total 15.7 89.4 413.5 32.3 550.9

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The above tables includes institutional exposures with residual maturities of less than three

months, greater than three months and exposures to unrated institutions.

CQS for institutional and

corporate exposure with short

term credit assessment

Risk

weight

%

Before CCF and

CRM

(USD million)

Post CCF and CRM

(USD million)

1 20% 20.3 20.2

2 50% 73.0 24.8

3 100% 102.0 70.8

4 150% 1.5 0.3

Total 196.8 116.1

CQS for securitised

investments

Risk

weight %

Before CCF

and CRM

(USD million)

Post CCF and

CRM

(USD million)

1 20% 16.6 16.6

2 50% 6.0 6.0

3 100% 21.5 21.5

Total 44.1 44.1

CQS for central government or

central banks

Risk

weight %

Before CCF

and CRM

(USD million)

Post CCF and

CRM

(USD million)

1 0% 546.9 546.9

Total 546.9 546.9

CQS for Equity Risk

weight %

Before CCF

and CRM

(USD million)

Post CCF and

CRM

(USD million)

Unrated 100% 6.5 6.5

Total 6.5 6.5

Other Assets Risk

weight %

Before CCF

and CRM

(USD million)

Post CCF and

CRM

(USD million)

Other Assets 0% 0.2 0.2




Total 52.7 52.7

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6.5 Counterparty credit risk

The Bank deals in derivatives as part of its balance sheet risk management and as part of risk

management solutions offered to its clients. All derivative offered to the clients are covered by

the Bank on a back to back basis. The primary derivatives transactions include foreign

exchange forwards, cross currency swaps and interest rate swaps.

The derivative transactions expose the Bank to counterparty credit risk (CCR). CCR is the risk

that the counterparty to a derivative transaction could default before the final settlement of the

transaction's cash flows.

The Bank computes counterparty exposure value for derivative transactions using the mark to

market method as specified in Article 274 of CRR guidelines. For this exposure calculation, the

current replacement cost is based on sum of market values of only those contracts where the

market value is positive for the Bank.

As part of compliance to European Market Infrastructure Regulation (EMIR), the Bank has

started central clearing of interest rate swaps through LCH Clearnet (London Clearing House),

thereby mitigating the counterparty credit risk. Also, the Bank has entered into credit support

annexe (CSA) agreement with its interbank counterparties, which mandate exchange of daily

variation margin based on the movement in MTM.

The Bank has outlined in its Credit Risk Management Policy (CRMP), that collateral obtained for

credit risk mitigation should not have material positive correlation between the credit quality of

the obligor and the value of the collateral. Also, securities issued by the obligor or any related

group entity are not eligible as collateral.

As at March 31, 2019, the notional principal values of the derivative instruments along with the

gross positive and gross negative fair value were:

USD million

Instrument Non-Trading

Notional

Principal

Trading

Notional

Principal

Gross

Positive

Fair value

Gross

Negative Fair

value

Exchange rate contracts 73.0 1,587.6 21.3 9.1

Interest rate contracts 447.7 732.5 7.9 10.8

The following table details the counterparty credit risk exposure calculation:

USD million

Gross positive fair value of contracts 29.2

Potential credit exposure 30.4

Counterparty credit risk exposures 59.6

of which, Exposure to interbank counterparties 48.0

The Bank also provides counterparty credit risk on its Securities Financing Transactions (SFT)

with interbank counterparties. The exposure on account of such SFTs was USD 74.2 million.

The exposure values is computed as the difference between the market value of the securities

lent and the amount borrowed. Further, the SFT transactions are governed by Global Master

Repurchase Agreement (GMRA) which requires margin exchange, in the event of a significant

movement in the market value of the security lent.

The Bank has no contractual obligations linked to its credit rating.

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17

6.6 Credit Value Adjustment (CVA)

The Bank has computed the Credit Value Adjustment (CVA) and Debit Value Adjustment (DVA)

on the outstanding MTM of the derivative portfolio, which amounted to USD 65 thousand (post

tax USD 53 thousand) and USD 32 thousand (post tax USD 26 thousand) respectively. The CVA

and DVA have been computed based on internal guidelines approved by Asset and Liability

Management Committee (ALCO), as follows:

CVA/DVA= Exposure x Probability of Default (PD) x Loss Given Default (LGD)

The PD is based on internal assessment for India linked portfolio & for non-India linked portfolio

PD published by external rating agency is considered and a LGD of 45% has been used for

computation of CVA/DVA computation. In addition to this, the Bank calculates the capital

requirement for CVA risk as per the CRR guidelines.

The Pillar 1 capital requirement for CVA as at March 31, 2019 was USD 0.9 million.

6.7 Additional Valuation Adjustment (AVA)

To ensure that the valuation of the Bank’s fair valued assets and liabilities achieves an

appropriate degree of certainty, AVA has been calculated on the sum of the absolute value of its

total fair valued assets and liabilities except the position held in Global Market Group (GMG).

The calculation of AVA is as per the final draft regulatory technical standards (RTS) on prudent

valuation adjustment published by EBA on January 23, 2015.

6.8 Credit risk and dilution risk

Loan impairment provisions

The Bank regularly reviews its loan portfolio to assess for impairment. Provisions are

established to recognise incurred losses in the loan portfolio carried at amortised cost. In

determining whether an impairment has occurred at the balance sheet date, the Bank assesses

if there is objective evidence of impairment as a result of one or more events that occurred

after the initial recognition of the asset (a 'loss event') and that loss event (or events) has an

impact on the estimated future cash flows of the financial asset or group of financial assets that

can be reliably estimated. It may not be possible to identify a single, discrete event that caused

the impairment rather the combined effect of several events may have caused the impairment.

In accordance with the guidelines of FRS 102, an impairment loss for financial assets measured

at amortized cost is the difference between the asset’s carrying amount and the present value

of the estimated future cash flows discounted at the asset’s original effective interest rate. The

estimated future cash flows take into account only the credit losses that have been incurred at

the time of the impairment loss calculation. In case the expected cash flows are not available,

the breakup value of security/collateral for respective facilities under watch is calculated in

accordance with the Bank’s collateral valuation policy. In line with accounting guidelines, the

Bank recognises an impairment loss equal to the best estimate within the range of reasonably

possible outcomes, taking into account all relevant information available about conditions

existing at the end of the reporting period.

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18

Collectively assessed impairment allowances cover credit losses inherent in portfolios with

similar economic characteristics, when there is objective evidence to suggest that they contain

impaired claims, but, the individual impaired items cannot yet be identified. In assessing the

need for collective impairment allowances, management considers factors such as historical

loss trends, credit quality of the portfolio, portfolio size, concentrations, and economic factors.

The aggregate amount of specific and collective provisions is intended to be sufficient to

absorb estimated credit losses generated in the loan portfolio. The collective impairment policy

as defined in the CRMP stipulates that collective provision, based on the credit rating of the

exposures, needs to be provided in respect of the entire performing loan and receivables

portfolio. The Bank has followed FRS 102 guidelines for defining its collective impairment

policy wherein the provisioning is determined by the extent of the underlying credit risk in the

portfolio of the Bank. This is also the direction provided by the Basel Accord. The exposures

that are individually assessed for impairment and for which an impairment loss is or continues

to be recognised, are not included in the collective assessment of impairment. In line with

market practice, the Bank has been using a representative set of Probability of Default (PD)/Loss

Given Default (LGD) data to determine the extent of provisioning required to be made by the

Bank in respect of its performing loan portfolio on a collective basis. The aggregate

provisioning requirement is arrived at by multiplying the outstanding amounts under each

portfolio type (internally rated and externally rated exposures) on the relevant date with the

corresponding PD and LGD.

Further disclosure on past due and impaired assets, allowance for credit losses, and a

reconciliation of changes in the specific and general credit adjustments is provided in the

Annual report for the year ended March 31, 2019.

Impairment of available for sale financial assets

The Bank regularly reviews its available for sale securities portfolio to assess for impairment.

The Bank considers all available evidence, including observable market data or information

about events specifically relating to the securities which may result in a shortfall in recovery of

future cash flows. These events may include a significant financial difficulty of the issuer, a

breach of contract such as a default, bankruptcy or other financial reorganisation, or the

disappearance of an active market for the debt security because of financial difficulties relating

to the issuer, information about the issuer's liquidity, business and financial risk exposures, level

of and trends in default for similar financial assets and national and local economic conditions.

While assessing ABS for objective evidence of impairment, the Bank considers the

performance of the underlying collateral, changes in credit rating, credit enhancements, default

events etc. Once impairment has been identified, the amount of impairment is measured based

on the difference between the acquisition cost (net of any principal repayment and amortisation)

and current fair value, less any impairment loss previously recognised in profit or loss. In

determining whether an impairment event has occurred at the balance sheet date, the Bank

considers whether there is any observable data which comprises evidence of the occurrence of

a loss event, and evidence that the loss event results in a decrease in estimated future cash

flows or their timings. Such observable data includes any adverse change in the payment

status of borrowers or changes in economic conditions that correlate with defaults on loan

repayment obligations. For equity investments a significant or prolonged decline in the fair

value of an available for sale equity investment below its cost is an objective evidence of

impairment considered by the Bank.

During the year the Bank has made impairment provisions USD 0.96 million on the investments.

The following table shows movement in impairment allowances for impaired AFS securities:

ICICI Bank UK PLC


March 31, 2019

19

USD million

AFS securities Specific impairment allowance

Opening Balance 50.0

Charged to P&L Account 1.0

Charged (released) to Other Comprehensive Income -

Reversal on sale -

Closing balance 51.0

The Bank’s impaired AFS securities include equity investment only. Additional information on

the Bank’s accounting policies, analysis of overdue and impaired exposures and valuation

methodologies is provided in the Annual Report for the year ended March 31, 2019.

7. Market Risk

Market risk is the possibility of loss arising from changes in the value of a financial instrument

as a result of changes in market variables such as interest rates, exchange rates, credit

spreads and other asset prices. It also includes the interest rate risk in banking book. The

Bank’s key policies for managing market risk as approved by the Board Risk Committee

(BRC)/ALCO are:

Treasury policy manual and mandate (TPMM) which also includes the trading book policy

statement (TBPS)

Valuation, Model Validation Policy and Independent Price Verification Policy

These policies are designed to ensure that transactions in securities, foreign exchange and

derivatives are conducted in accordance with sound and acceptable business practices as

well as regulatory guidelines and laws governing such transactions. The policies are reviewed

periodically to take into account changed business requirements, the economic environment

and revised policy guidelines.

The key market risks to which the Bank is exposed relate to:

Interest rate risk – Interest rate risk is defined as the risk of loss which the Bank will incur as

a result of an increase or decrease in interest rates. Interest income and expense from

interest sensitive assets and liabilities are impacted by changes in interest rates. The

overall value of the investment portfolio, the underlying value of the Bank's other assets, its

liabilities, and off balance sheet (OBS) instruments are also impacted due to changes in

interest rates because the present value of future cash flows changes when interest rates

change.

Forex risk – This risk arises due to positions in non-dollar denominated currencies, which in

turn arise from assets and liabilities in those currencies. Foreign exchange risk is managed

within the Treasury function in accordance with approved position limits. The Net

overnight open position (NOOP) of the Bank at March 31, 2019 was USD 1.8 million. The

Bank has not provided any capital on its net open exchange exposures as the open

position was less than 2% of the total own funds of the Bank (Article 351 of the CRR).

Equity Risk – Equity price risk arises due to the volatility of price movements on the Bank’s

investment in equity shares and convertibles. Threshold triggers are defined for decline in

the values of equity investments and an escalation framework is in place. The value of the

ICICI Bank UK PLC


March 31, 2019

20

Bank’s equity investments at March 31, 2019 was USD 6.5 million and the option value of

convertibles was Nil at March 31, 2019.

The Bank enters into various financial instruments as principal to manage balance sheet

interest rate and foreign exchange rate risk. These mainly include interest rate swaps and

exchange rate related contracts. The Bank uses derivatives to mitigate interest rate risk.

Hedge accounting is applied to derivatives and hedged items when the criteria under IAS39

for financial instruments as permitted by FRS 102 have been met. For qualifying hedges, the

fair value changes of the derivative are substantially matched by corresponding fair value

changes of the hedged item, both of which are recognised in profit and loss. As detailed in

section 5.5, the Bank currently does not take any position with trading intent, but certain

transactions may be classified as trading based on the applicable accounting guidelines.

The Bank has devised various risk metrics for different products and investments. These risk

metrics are measured and reported to senior management by the Bank’s independent

Treasury Control & Services Group (TCSG). Some of the risk metrics adopted by the Bank for

monitoring its risks are value-at-risk (VaR), duration of equity (DoE), price value of basis point

(PV01) and stop loss amongst others. The risk appetite of the Bank includes limits for these

risk metrics.

VaR is calculated using a parametric approach at a 99% confidence level over a one day

holding period. The total VAR for the Bank’s AFS book portfolio, including investment

portfolio, as at March 31, 2019 was USD 2.1 million. The maximum, average and minimum

VAR during the year for the AFS book portfolio, including investment portfolio, was USD 2.8

million, USD 1.9 million and USD 1.3 million respectively.

In order to manage its interest rate risk in its banking book, the Bank has set out various

measurement process including use of re-pricing gap reports and estimation of the sensitivity

of the NII to a range of interest rate change scenarios including a scenario of 200 basis points

parallel movement in the yield curve (defined as - Earnings at Risk (EaR). The re-pricing gap

reports do not consider any assumptions for loan prepayments and any non-maturing

assets/liabilities are considered in the report based on behavioural assumptions. The impact

of an increase in interest rates on the Bank’s net interest income as at March 31, 2019,

assuming a parallel shift in the yield curve, has been set out in the following table:

USD million

Currency Impact on net interest income over a one year

horizon (Increase in interest rates by 200 bps)

USD 5.7

GBP 5.6

EUR 2.7

Others (0.4)

Total 13.6

The Bank also uses Duration of Equity (“DoE”) as an all-encompassing measure, which takes

into consideration duration and value of both assets and liabilities. DoE is a measure of interest

rate sensitivity, which indicates how much the market value of equity, would change if interest

rates change by 1%. Currently, a limit of +/- 2.0 has been prescribed for overall DoE of the

Bank. The measures for interest rate risk in the banking book are reported to the ALCO on a

monthly basis and to the Board Risk Committee on a quarterly basis.

ICICI Bank UK PLC


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21

Further, in case of adverse movement of interest rate there may be some unrealised mark to

market (MTM) impact on investment portfolio. The impact of a decrease in interest rates on the

Bank’s net interest income as at 31 March 2019, (broken down by currency) assuming a parallel

shift in yield curve, has been set out in the following table:

USD million

Currency Impact on net interest income over a one year

horizon (Decrease in interest rates by 200 bps)

USD (5.4)

GBP (6.0)

EUR 5.7

Others 0.5

Total (5.2)


8. Operational and Conduct risk

Operational risk is the risk of loss resulting from inadequate or failed internal processes, people,

and systems or from external events. ‘Compliance and legal’ risk which is defined as the risk

that arises from a failure or inability to comply with the laws, regulations or voluntary codes

applicable to the financial services industry and ‘conduct’ risk, which includes risks arising from

unfair treatment and delivering inappropriate outcomes to its customers, are also considered

within the ambit of operational risk. The Bank has also identified outsourcing and information

security risks as key operational risks affecting the Bank and has put in place effective controls

including policies and procedure to manage and mitigate these risks.

The management of operational risk within the Bank is governed by the Operational Risk

Management Policy (ORMP) which is reviewed and approved by the Board Risk Committee

(BRC) on an annual basis. The Bank has determined and articulated Operational Risk Appetite

(ORA) which has been defined as the acceptable maximum level of Operational Risk (OR) that

the Bank is willing to accept in pursuit of its strategic objectives, taking into account of its

stakeholders as well as regulatory requirements. It has been expressed both in quantitative and

qualitative terms. The Bank has expressed its ORA as a percentage of a financial parameter of

the Bank i.e. operating income and operating expenses based on the average level of losses for

the previous years and has also taken into account the existing controls and expected future

developments/ initiatives. The Bank has implemented its Risk and Control Self-Assessment

(RCSA) approach to identify and ensure effective control of its operational risks. The RCSAs

along with Key Risk Indicators and collection and analysis of operational risk incidents are the

tools implemented for systematic management of operational risk within the Bank.

A brief section on Operational Risk Management Framework including governance structure,

various management and measurement tools currently implemented within the Bank is

covered in the Annual Report of the Bank for the year ended March 31, 2019.

The Bank has adopted the Basic Indicator Approach for the purposes of calculating its

operational risk capital charge as per Basel II. The Bank carries out an operational risk scenario

analysis and stress testing exercise for assessing the adequacy of the operational risk capital

charge. Various operational risk scenarios/events based on existing and external loss data, risks

identified in RCSAs and internal audit reports, have been identified and assessed and each of

ICICI Bank UK PLC


March 31, 2019

22

these scenarios are assessed for its probability and financial impact. The scenarios cover the

key operational risks such as outsourcing risk, information security risk, business practice and

conduct, technology risk, people risk, natural disaster and man-made disasters. Some of which

have been further amalgamated to create seven high impact operational risk scenarios. For the

purpose of stress testing, the adequacy of Pillar 1 capital has been assessed by comparing it to

stress operational risk losses using three approaches. The detailed process is mentioned in

"quantitative assessment of operational risk drivers" framework which is reviewed and the

results are shared with the CORMAC and BRC on an annual basis.

The Bank has provided USD 12.2 million capital towards the operational risk requirements as at

March 31, 2019.

Conduct Risk

The Bank’s conduct risk philosophy is to look to develop and maintain long term relationships

with its customers, based on openness, trust and fairness. It expects that the behaviour and

motivation of every employee must be about good conduct and adherence to established

controls to deliver fair and appropriate outcomes to our customers. The Bank evaluates the

impact of the changing regulatory requirements on an ongoing basis and is fully committed to

establishing controls to deliver fair and appropriate outcomes for its customers.

The Bank continues to focus on the conduct risk matters as defined in its conduct risk appetite.

Performance against conduct risk related matters are reviewed and monitored by the Bank’s

Board Conduct Risk Committee (“BCRC”) and at the executive level by the Compliance,

Conduct and Operational Risk Management Committee (“CORMAC”). Both Committees meet

on a periodic basis and receive regular updates from both business and Compliance.


9. Liquidity Risk

Liquidity risk arises due to insufficient available cash flows including the potential difficulty of

resorting to the financial markets in order to meet payment obligations. The Bank’s key policies

for managing liquidity risk as approved by the Board are:

Internal Liquidity Adequacy Assessment Process (ILAAP)

Liquidity contingency plan (LCP)

The Bank differentiates liquidity risk between funding liquidity risk and market liquidity risk.

Funding liquidity risk is the risk that the Bank will not be able to efficiently meet cash flow

requirements in a timely manner for its payment obligations including liability repayments,

even under adverse conditions, and to fund all investment/lending opportunities, even under

adverse conditions. Market liquidity refers to a Bank’s ability to execute its transactions and to

close out its positions at a fair market price. This may become difficult in certain market

conditions either because of the underlying product itself or because of the Bank’s own

creditworthiness.

The Bank’s liquidity risk management philosophy is to be able, even under adverse conditions,

to meet all liability repayments on time and to fund all investment opportunities by raising

sufficient funds either by increasing liabilities or by converting assets into cash expeditiously

and at reasonable cost.

ICICI Bank UK PLC


March 31, 2019

23

The Bank maintains a diversified funding base comprising retail, corporate customer deposits

and institutional balances. The Bank also holds unencumbered, high quality liquid assets to

protect against stress conditions. The Bank monitors and manages its overall liquidity risk

appetite by ensuring that it maintains liquidity coverage ratio above regulatory requirements,

by having adequate liquid assets for projected stressed outflows under various scenarios and

also ensures that its liquidity gap position is within the approved limit for the various time

buckets. This framework is further augmented by defining risk limits for individual liquidity risk

drivers. ALCO and BRC review these parameters on monthly and quarterly basis respectively.

The Bank has implemented the CRD IV liquidity guidelines as specified by PRA. As per the

guidelines, the Bank has prepared an Internal Liquidity Adequacy Assessment Process (ILAAP)

document outlining the liquidity risk appetite of the Bank. The ILAAP document sets out the

framework used to ensure that the Bank maintains sufficient liquidity at all times, including

periods of stress. This has been done through the robust liquidity stress testing under various

identified scenarios. Under each scenario, the Bank assesses the behavior of each liquidity risk

drivers and estimates the amount of liquidity required to mitigate net stress outflows. The

stress testing is carried out daily. The results of the stress test are reported to the ALCO and

BRC & Board on a monthly and quarterly basis respectively. Further, from October 1, 2015 the

Bank maintains Liquidity Coverage Ratio (LCR) as stipulated by the PRA. The Bank also tracks

its Net Stable Funding ratio (NSFR), though it is yet to be introduced as a regulatory

requirement in United Kingdom.

The LCR is intended to ensure that a bank maintains an adequate level of unencumbered HQLA

which can be used to offset the net stressed outflows the bank could encounter under a

combined stress scenario lasting 30 days. The LCR ratio of the Bank at March 31, 2019 was

225.0% against the regulatory requirement of 100.0%. The Bank holds an adequate level of

liquidity in excess of regulatory requirements and requirements as per internal risk appetite

defined in ILAAP.

The Bank also has a liquidity contingency plan (LCP) which details the overall approach and

actions the Bank would undertake in order to manage the Bank’s liquidity position during

stressed conditions.


10. Leverage ratio

At March 31, 2019, the Bank’s leverage ratio was 10.7%, which is well above the requirement

of 3.0%.

ICICI Bank UK PLC


March 31, 2019

24

CRR Leverage Ratio - Disclosure Template

Reference date March 31, 2019

Entity name ICICI Bank UK Plc

Level of application Individual

Table LRSum: Summary reconciliation of accounting assets and leverage ratio ex-

posures

USD million

1 Total assets as per published financial statements 3,840.2

2 Adjustment for entities which are consolidated for accounting

purposes but are outside the scope of regulatory consolidation -

3

(Adjustment for fiduciary assets recognised on the balance

sheet pursuant to the applicable accounting framework but ex-

cluded from the leverage ratio exposure measure in accordance

with Article 429(13) of Regulation (EU) No 575/2013 "CRR")

-

4 Adjustments for derivative financial instruments 30.4

5 Adjustments for securities financing transactions "SFTs" 74.2

6 Adjustment for off-balance sheet items (i.e. conversion to credit

equivalent amounts of off-balance sheet exposures) 187.7

EU-6a

(Adjustment for intragroup exposures excluded from the lever-

age ratio exposure measure in accordance with Article 429 (7) of

Regulation (EU) No 575/2013)

-

EU-6b

(Adjustment for exposures excluded from the leverage ratio ex-

posure measure in accordance with Article 429 (14) of Regula-

tion (EU) No 575/2013)

-

7 Other adjustments 20.6

8 Total leverage ratio exposure 4,153.1

Table LRCom: Leverage ratio common disclosure

USD million

On-balance sheet exposures (excluding derivatives and SFTs)

1 On-balance sheet items (excluding derivatives, SFTs and fiduci-

ary assets, but including collateral) 3,801.9

2 (Asset amounts deducted in determining Tier 1 capital) (0.9)

3

Total on-balance sheet exposures (excluding derivatives, SFTs

and fiduciary assets) (sum of lines 1 and 2) 3,801.0

Derivative exposures

4 Replacement cost associated with all derivatives transactions

(i.e. net of eligible cash variation margin) 29.2

5 Add-on amounts for PFE associated with all derivatives transac-

tions (mark-to-market method) 30.4

ICICI Bank UK PLC


March 31, 2019

25

EU-5a Exposure determined under Original Exposure Method

-

6

Gross-up for derivatives collateral provided where deducted

from the balance sheet assets pursuant to the applicable ac-

counting framework

-

7 (Deductions of receivables assets for cash variation margin pro-

vided in derivatives transactions)

-

8 (Exempted CCP leg of client-cleared trade exposures)

-

9 Adjusted effective notional amount of written credit derivatives

-

10 (Adjusted effective notional offsets and add-on deductions for

written credit derivatives)

-

11 Total derivative exposures (sum of lines 4 to 10) 59.6

Securities financing transaction exposures

12 Gross SFT assets (with no recognition of netting), after adjusting

for sales accounting transactions 30.6

13 (Netted amounts of cash payables and cash receivables of gross

SFT assets)

-

14 Counterparty credit risk exposure for SFT assets -

EU-14a

Derogation for SFTs: Counterparty credit risk exposure in ac-

cordance with Article 429b (4) and 222 of Regulation (EU) No

575/2013

74.2

15 Agent transaction exposures

-

EU-15a (Exempted CCP leg of client-cleared SFT exposure)

-

16 Total securities financing transaction exposures (sum of lines 12

to 15a) 104.8

Other off-balance sheet exposures

17 Off-balance sheet exposures at gross notional amount 867.7

18 (Adjustments for conversion to credit equivalent amounts) (680.0)

19 Other off-balance sheet exposures (sum of lines 17 to 18) 187.7

Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet)

EU-19a

(Exemption of intragroup exposures (solo basis) in accordance

with Article 429(7) of Regulation (EU) No 575/2013 (on and off

balance sheet))

-

EU-19b (Exposures exempted in accordance with Article 429 (14) of

Regulation (EU) No 575/2013 (on and off balance sheet))

-

Capital and total exposures

20 Tier 1 capital 442.8

21 Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-

19a and EU-19b) 4,153.1

Leverage ratio

22 Leverage ratio 10.7%

Choice on transitional arrangements and amount of derecognised fiduciary items

ICICI Bank UK PLC


March 31, 2019

26

EU-23 Choice on transitional arrangements for the definition of the

capital measure Fully phased in

EU-24 Amount of derecognised fiduciary items in accordance with Ar-

ticle 429(11) of Regulation (EU) NO 575/2013 -

Table LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs

and exempted exposures)

USD million

EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs,

and exempted exposures), of which: 3,801.9

EU-2 Trading book exposures -

EU-3 Banking book exposures, of which: 3,801.9

EU-4 Covered bonds 0.0

EU-5 Exposures treated as sovereigns 536.8

EU-6

Exposures to regional governments, MDB, international organi-

sations and PSE NOT treated as sovereigns -

EU-7 Institutions 350.2

EU-8 Secured by mortgages of immovable properties 470.4

EU-9 Retail exposures 0.0

EU-10 Corporate 2,174.4

EU-11 Exposures in default 63.6

EU-12

Other exposures (e.g. equity, securitisations, and other non-

credit obligation assets) 206.5

Table LRQua: Disclosure on qualitative items

Row Factors Description

1

Description of the pro-

cesses used to manage

the risk of excessive

leverage

Leverage risk captures the build-up of excessive lever-

age on the Bank’s balance sheet thus weakening its loss

absorbing capacity in times of a stress. Leverage risk is

managed through the ‘Leverage Ratio’ measure intro-

duced as part of the CRD IV regulations. The leverage

ratio is being implemented in the UK through the FPC,

and has been set at a minimum of 3% for UK banks. As

shown in table LRCom above, the Bank had a leverage

ratio of 10.7% at March 31, 2019 which is above the

minimum requirement. Therefore, leverage risk for the

Bank is relatively low.

Bank also monitors its leverage ratio as part of its Re-

covery and Resolution Plan by setting recovery indicator

thresholds on Leverage ratio.

2

Description of the fac-

tors that had an impact

on the leverage Ratio

during the period to

which the disclosed lev-

erage Ratio refers

Over the financial year the Leverage ratio has decreased

from 11.7% at March 31, 2018 to 10.7% at March 31,

2019. The decrease in ratio is mainly on account of re-

duction in Tier 1 Capital.

ICICI Bank UK PLC


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27

11. Asset encumbrance

Asset encumbrance arises from collateral pledged against secured funding and other

collateralised obligations. The tables in Annexure IV contain components of Banks encumbered

and unencumbered assets for the year ended March 31, 2019.

12. Exposures in equities not included in the trading book

The bank has an equity exposure of USD 6.5 million held at fair value. Of the total equity

exposure, USD 0.6 million represents common equity instruments which are exchange traded.

During the year, the Bank has not sold or liquidated any of its equity exposures. As at March 31,

2019, the total unrealised gain/(loss) on account of equity exposures, included in the Common

Equity Tier 1 capital was USD 0.8 million. Further information is provided in the Annual Report

for the year ended March 31, 2019.

13. Securitisation

The Bank is a participant in the securitisation market, acting as an investor only. All of the

Bank’s securitisation positions are on-balance sheet exposures.

At March 31, 2019, the balance outstanding was USD 44.1 million on the Bank’s balance sheet.

14. Remuneration disclosure

The Bank follows a conservative and comprehensive approach towards Rewards Management.

The remuneration policy is approved by the Board Governance Committee (BGC).

Governance & Board involvement

The BGC is responsible for the overview of the Remuneration Policy, governance of the

remuneration of the Management Committee members, including the Managing Director &

CEO of ICICI Bank UK Plc. The composition of the Committee is in line with the current

regulatory recommendations such that the BGC is chaired by a Non-Executive Director and

none of its members hold an executive position with the Bank.

The BGC reviews the Bank’s remuneration policy from time to time, ensuring that the same is

in line with the Bank’s strategy and the changing market dynamics. The BGC further ensures

that the remuneration policy of the Bank conforms to the regulatory requirements. A total of six

Board Governance Committee meetings were held during the year ended March 31, 2019.

Performance and Pay

The Bank follows the balanced scorecard principle in designing its performance management

system. Every employee of the Bank adopts a goal sheet, outlining his / her responsibilities and

deliverables for the year. Adequate attention is paid to the goal sheets to ensure a balance of

financial goals with non-financial goals. The non-financial goals cover relevant areas of

customer service, process improvement, adherence to risk and compliance norms and

employee capability building.

ICICI Bank UK PLC


March 31, 2019

28

Staff engaged in all control functions, including Compliance, Risk, Finance, Audit and others do

not carry business profit targets in their goal sheets and hence are compensated independent

of the business profit achievements. Their remuneration is dependent on achievement of key

results in their respective domains. The performance bonus of all employees is strongly linked

to the overall performance of the Bank and individual performance.

The Bank’s revenue target is approved by the BGC, which periodically reviews the performance

against the target and the means adopted to achieve said revenue target.

Design and Structure of Remuneration

Employee remuneration takes into account a balanced mix of external market pay levels and

internal equity. The remuneration of all employees is aligned to both financial and non-financial

indicators of performance. Adequate attention is given to performance on parameters like

customer service, process improvement, adherence to risk and compliance norms and

employee capability building.

The Bank has a judicious and prudent approach to remuneration and does not use

remuneration as the only lever to attract and retain employees. No single business or functional

leader determines the remuneration structure. Good governance dictates a BGC approved and

supervised remuneration approach. To ensure a comprehensive outlook in determining

remuneration levels, the BGC comprises members who chair the various control committees of

the Bank including Risk, Credit and Audit.

The performance bonus of all employees of the Bank is dependent on the performance of the

Bank and individual performance ratings. The Bank does not encourage any kind of guaranteed

bonus. The performance ratings based bonus distribution matrix is approved by the BGC and

the Bank does not follow a business-wise bonus pool concept. No single individual determines

the quantity of bonus available to a person. The performance rating of an individual is decided

by skip level managers, in association with their HR managers. This ensures that an individual’s

pay-out as a percentage of one’s base salary cannot be determined by any single person or

factor.

While the BGC reviews and approves the remuneration and performance bonus approach

followed for all employees, the Committee reviews the individual performance of the Managing

Director & CEO and every member of the Management Committee. Based on each member’s

performance, the Committee approves the rate of bonus to be paid, the increments to be given,

also factoring in the overall performance of the Bank.

Should the performance of the Bank be far below the expected levels, the Committee may also

fix the annual bonus as ‘nil’ during the year-end performance review of.

Deferral of variable component including risk adjustments

The total remuneration is a prudent mix of fixed pay and variable pay. The variable pay is

higher at senior levels and lower at junior levels. The variable pay will consist of performance

bonus and Employee Stock Options (ESOS).

At senior levels, the Bank pays up to 100% of the deferred variable pay in shares for a vesting

period spanning three years or more. The quantum of variable pay is also dependent on

ICICI Bank UK PLC


March 31, 2019

29

compliance with performance norms, both financial and non-financial. This does not favour

inappropriate risk-taking, thus aligning senior management interests with those of the

shareholders. All unvested options are lapsed in the event of termination of a code staff

member’s employment for cause.

ESOS aims at achieving twin objectives of aligning senior and middle management

remuneration to long term shareholder interests. This serves as a retention tool for employees

identified as Talent (High Potential). ESOS also aims at aligning senior management behaviour

to the long-term view of the Bank’s performance and to create individual stake in the Bank’s

success.

The vesting schedule of the ESOS is spread over a period of three years or more to fully realise

the impact of the decisions taken at senior management levels and the real value created for

the shareholders.

The Bank is not a listed company and the employees are granted options under the ESOS

scheme of the parent company, ICICI Bank Limited, India. This scheme is approved by the

shareholders of ICICI Bank Limited. The BGC evaluates the ESOS grant levels and the number

of options granted to the MD & CEO and every member of the Management Committee.

The Bank follows a conservative approach to cash pay-outs of variable pay. The quantum of

bonus for an employee does not exceed 70% of base salary and is paid on an annual basis. In

the event of exceptional performance, if the quantum of bonus for an employee exceeds 50%

of the base salary, then 60% will be paid upfront and 40% of bonus will be deferred over a

period of three years.

Code Staff

The following employees of the Bank have been identified as Remuneration Code Staff:

1. Executive Senior Managers (Member of Management Committee).

2. Independent Non-Executive Directors of the Bank.

Equal Opportunities and Diversity

The Bank is an equal opportunities employer and is committed to providing equal opportunities

and avoiding unlawful discrimination. This Policy aims to ensure that no one is unfairly

discriminated against because of their age, disability, gender, reassignment, race, colour,

nationality, ethnic or national origin, religion or belief, sex, sexual orientation, marriage and civil

partnership and status, or pregnancy and maternity. The Policy states that the Bank will not

discriminate against individuals (including members of the management body) on the grounds

stated, in any area of recruitment or employment including job selection, training, promotion,

appraisal, salary, administration and terms and conditions of employment, discipline and

selection for redundancy.

ICICI Bank UK PLC


March 31, 2019 Total Remuneration for Code Staff including Variable Pay for FY 2018-19

The below mentioned details pertain to Code Staff whose professional activities have a material impact on the risk profile of the Bank.

Aggregate Total Remuneration for Executive Senior Managers1

£2,868,154

Breakdown of Remuneration between Fixed and Variable amounts

Fixed – Including salaries, pension, private medical and other benefits £1,839,703

Variable – Including Cash Bonus and ESOS2

£1,028,452

Number of Code Staff as Executive Senior Managers on March 31, 2019 11

1The aggregate total includes salary for 2 part year Executive Senior Managers

2Variable pay includes ESOS valuation of Executive Senior Managers employed by the Bank on March 31, 2019

Aggregate Total Remuneration for Independent Non-Executive

Directors (all fixed remuneration)

£255,000

Number of Code staff as Independent Non-Executive Directors on

March 31, 2019

3

ICICI Bank UK PLC


March 31, 2019

31

Transitional own funds disclosure template

Annexure I

USD million

Common Equity Tier 1 capital: instruments and reserves

(A)

31 Mar 2019

(B)

REGULATION (EU) No

575/2013 ARTICLE

REFERENCE

1 Capital instruments and the related share premium accounts 420.1

26 (1), 27, 28, 29, EBA

list 26 (3)

of which: ordinary shares 420.1 EBA list 26 (3)

2 Retained earnings 87.0 26 (1) (c)

3 Accumulated other comprehensive income (and any other reserves) (10.6) 26 (1)

3a Funds for general banking risk - 26 (1) (f)

4

Amount of qualifying items referred to in Article 484 (3) and the related share premium ac-

counts subject to phase out from CET1 - 486 (2)

Public sector capital injections grandfathered until 1 January 2018 - 483 (2)

5 Minority interests (amount allowed in consolidated CET1) - 84, 479, 480

5a Independently reviewed interim profits net of any foreseeable charge or dividend (52.9) 26 (2)

6 Common Equity Tier 1 (CET1) capital before regulatory adjustments 443.6

Common Equity Tier 1 (CET1) capital: regulatory adjustments

7 Additional value adjustments (negative amount) (0.7) 34, 105

8 Intangible assets (net of related tax liability) (negative amount) (0.1) 36 (1) (b), 37, 472 (4)

9 Empty set in the EU -

10

Deferred tax assets that rely on future profitability excluding those arising from temporary dif-

ference (net of related tax liability where the conditions in Article 38 (3) are met) (negative

amount) - 36 (1) (c), 38, 472 (5)

11 Fair value reserves related to gains or losses on cash flow hedges - 33 (a)

12 Negative amounts resulting from the calculation of expected loss amounts -

36 (1) (d), 40, 159, 472

(6)

13 Any increase in equity that results from securitised assets (negative amount) - 32 (1)

14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing (0.0) 33 (1) (b) (c)

ICICI Bank UK PLC


March 31, 2019

32

15 Defined-benefit pension fund assets (negative amount) - 36 (1) (e), 41, 472 (7)

16 Direct and indirect holdings by an institution of own CET1 instruments (negative amount) - 36 (1) (f), 42, 472 (8)

17

Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities

where those entities have reciprocal cross holdings with the institution designed to inflate arti-

ficially the own funds of the institution (negative amount) - 36 (1) (g), 44, 472 (9)

18


where the institution does not have a significant investment in those entities (amount above

10% threshold and net of eligible short positions) (negative amount) -

36 (1) (h), 43, 45, 46,

49 (2) (3), 79, 472 (10)

19


where the institution has a significant investment in those entities (amount above 10% thresh-

old and net of eligible short positions) (negative amount) -

36 (1) (i), 43, 45, 47,

48 (1) (b), 49 (1) to (3),

79, 470, 472 (11)


20a

Exposure amount of the following items which qualify for a RW of 1250%, where the institu-

tion opts for the deduction alternative - 36 (1) (k)

20b of which: qualifying holdings outside the financial sector (negative amount) - 36 (1) (k) (i), 89 to 91

20c of which: securitisation positions (negative amount) -

36 (1) (k) (ii)

243 (1) (b)

244 (1) (b)

258

20d of which: free deliveries (negative amount) - 36 (1) (k) (iii), 379 (3)

21

Deferred tax assets arising from temporary difference (amount above 10 % threshold , net of

related tax liability where the conditions in Article 38 (3) are met) (negative amount) -

36 (1) (c), 38, 48 (1)

(a), 470, 472 (5)

22 Amount exceeding the 15% threshold (negative amount) - 48 (1)

23

of which: direct and indirect holdings by the institution of the CET1 instruments of financial

sector entities where the institution has a significant investment in those entities -

36 (1) (i), 48 (1) (b),

470, 472 (11)


25 of which: deferred tax assets arising from temporary difference -

36 (1) (c), 38, 48 (1)

(a), 470, 472 (5)

25a Losses for the current financial year (negative amount) - 36 (1) (a), 472 (3)

25b Foreseeable tax charges relating to CET1 items (negative amount) - 36 (1) (l)

26

Regulatory adjustments applied to Common Equity Tier 1 in respect of amounts subject to

pre-CRR treatment -

ICICI Bank UK PLC


March 31, 2019

33

26a

Regulatory adjustments relating to unrealised gains and losses pursuant to Articles 467 and

468 -

26b

Amount to be deducted from or added to Common Equity Tier 1 capital with regard to addi-

tional filters and deductions required pre CRR - 481

27 Qualifying AT1 deductions that exceeds the AT1 capital of the institution (negative amount) - 36 (1) (j)

28 Total regulatory adjustments to Common Equity Tier 1 (CET1) (0.8)

29 Common Equity Tier 1 (CET1) capital 442.8

Additional Tier 1 (AT1) capital: instruments

30 Capital instruments and the related share premium accounts - 51, 52

31 of which: classified as equity under applicable accounting standards -

32 of which: classified as liabilities under applicable accounting standards -

33


counts subject to phase out from AT1 - 486 (3)


34

Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interest not

included in row 5) issued by subsidiaries and held by third parties - 85, 86, 480

35 of which: instruments issued by subsidiaries subject to phase-out - 486 (3)

36 Additional Tier 1 (AT1) capital before regulatory adjustments -

Additional Tier 1 (AT1) capital: regulatory adjustments

37 Direct and indirect holdings by an institution of own AT1 instruments (negative amount) -

52 (1) (b), 56 (a), 57,

475 (2)

38

Holdings of the AT1 instruments of financial sector entities where those entities have recipro-

cal cross holdings with the institution designed to inflate artificially the own funds of the insti-

tution (negative amount) - 56 (b), 58, 475 (3)

39

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where

the institution does not have a significant investment in those entities (amount above 10%

threshold and net of eligible short positions) (negative amount) -

56 (c), 59, 60, 79, 475

(4)

40

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where

the institution has a significant investment in those entities (amount above 10% threshold and

net of eligible short positions) (negative amount) - 56 (d), 59, 79, 475 (4)

ICICI Bank UK PLC


March 31, 2019

34

41

Regulatory adjustments applied to Additional Tier 1 capital in respect of amounts subject to

pre-CRR treatment and transitional treatments subject to phase-out as prescribed in Regula-

tion (EU) No 585/2013 (i.e. CRR residual amounts) -

41a

Residual amounts deducted from Additional Tier 1 capital with regard to deduction from

Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regula-

tion (EU) No 575/2013 -

472, 473(3)(a), 472 (4),

472 (6), 472 (8) (a),

472 (9), 472 (10) (a),

472 (11) (a)

41b

Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Tier 2

capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013 -

477, 477 (3), 477 (4)

(a)

41c

Amounts to be deducted from added to Additional Tier 1 capital with regard to additional fil-

ters and deductions required pre- CRR - 467, 468, 481

42 Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount) - 56 (e)

43 Total regulatory adjustments to Additional Tier 1 (AT1) capital -

44 Additional Tier 1 (AT1) capital -

45 Tier 1 capital (T1 = CET1 + AT1) 442.8

Tier 2 (T2) capital: instruments and provisions

46 Capital instruments and the related share premium accounts - 62, 63

47


counts subject to phase out from T2 121.3 486 (4)


48

Qualifying own funds instruments included in consolidated T2 capital (including minority in-

terest and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by

third party - 87, 88, 480

49 of which: instruments issued by subsidiaries subject to phase-out - 486 (4)

50 Credit risk adjustments 12.4 62 (c) & (d)

51 Tier 2 (T2) capital before regulatory adjustment 133.7

Tier 2 (T2) capital: regulatory adjustments

52

Direct and indirect holdings by an institution of own T2 instruments and subordinated loans

(negative amount) -

63 (b) (i), 66 (a), 67,

477 (2)

53

Holdings of the T2 instruments and subordinated loans of financial sector entities where those

entities have reciprocal cross holdings with the institutions designed to inflate artificially the

own funds of the institution (negative amount) - 66 (b), 68, 477 (3)

ICICI Bank UK PLC


March 31, 2019

35

54

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of finan-

cial sector entities where the institution does not have a significant investment in those entities

(amount above 10 % threshold and net of eligible short positions) (negative amount) -

66 (c), 69, 70, 79, 477

(4)

54a Of which new holdings not subject to transitional arrangements -

54b Of which holdings existing before 1 January 2013 and subject to transitional arrangements -

55

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of finan-

cial sector entities where the institution has a significant investment in those entities (net of

eligible short positions) (negative amounts) - 66 (d), 69, 79, 477 (4)

56

Regulatory adjustments applied to tier 2 in respect of amounts subject to pre-CRR treatment

and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013

(i.e. CRR residual amounts) -

56a

Residual amounts deducted from Tier 2 capital with regard to deduction from Common Equity

Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No

575/2013 -

472, 472(3)(a), 472 (4),

472 (6), 472 (8), 472

(9), 472 (10) (a), 472

(11) (a)

56b

Residual amounts deducted from Tier 2 capital with regard to deduction from Additional Tier 1

capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013 -

475, 475 (2) (a), 475

(3), 475 (4) (a)

56c

Amounts to be deducted from or added to Tier 2 capital with regard to additional filters and

deductions required pre- CRR - 467, 468, 481

57 Total regulatory adjustments to Tier 2 (T2) capital -

58 Tier 2 (T2) capital 133.7

59 Total capital (TC = T1 + T2) 576.5

59a

Risk weighted assets in respect of amounts subject to pre-CRR treatment and transitional

treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR resid-

ual amount) -

Of which:… items not deducted from CET1 (Regulation (EU) No 575/2013 residual amounts)

(items to be detailed line by line, e.g. Deferred tax assets that rely on future profitability net of

related tax liability, indirect holdings of own CET1, etc.) -

472, 472 (5), 472 (8)

(b), 472 (10) (b), 472

(11) (b)

ICICI Bank UK PLC


March 31, 2019

36

Of which:…items not deducted from AT1 items (Regulation (EU) No 575/2013 residual

amounts) (items to be detailed line by line, e.g. Reciprocal cross holdings in T2 instruments,

direct holdings of non-significant investments in the capital of other financial sector entities,

etc.) -

475, 475 (2) (b), 475

(2) ©, 475 (4) (b)

Items not deducted from T2 items (Regulation (EU) No 575/2013 residual amounts) (items to

be detailed line by line, e.g. Indirect holdings of own T2 instruments, indirect holdings of non-

significant investments in the capital of other financial sector entities, indirect holdings of sig-

nificant investments in the capital of other financial sector entities etc.) -

477, 477 (2) (b), 477

(2) (c), 477 (4) (b)

60 Total risk-weighted assets 3,424.3

Capital ratios and buffers

61 Common Equity Tier 1 (as a percentage of total risk exposure amount 12.93% 92 (2) (a), 465

62 Tier 1 (as a percentage of total risk exposure amount 12.93% 92 (2) (b), 465

63 Total capital (as a percentage of total risk exposure amount 16.84% 92 (2) (c)

64

Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a)

plus capital conservation and countercyclical buffer requirements plus a systemic risk buffer,

plus systemically important institution buffer expressed as a percentage of total risk exposure

amount) 2.80% CRD 128, 129, 140

65 of which: capital conservation buffer requirement 2.50%

66 of which: countercyclical buffer requirement 0.30%

67 of which: systemic risk buffer requirement 0.00%

67a

of which: Global Systemically Important Institution (G-SII) or Other Systemically Important

Institution (O-SII) buffer - CRD 131

68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 7.20% CRD 128

69 [non-relevant in EU regulation] N/A



Amounts below the thresholds for deduction (before risk-weighting)

72

Direct and indirect holdings of the capital of financial sector entities where the institution does

not have a significant investment in those entities (amount below 10% threshold and net of

eligible short positions -

36 (1) (h), 45, 46, 472

(10)

56 (c), 59, 60, 475 (4),

66 (c), 69, 70, 477 (4)

ICICI Bank UK PLC


March 31, 2019

37

73

Direct and indirect holdings of the CET1 instruments of financial sector entities where the insti-

tution has a significant investment in those entities (amount below 10% threshold and net of

eligible short positions -

36 (1) (i), 45, 48, 470,

472 (11)


75

Deferred tax assets arising from temporary difference (amount below 10 % threshold , net of

related tax liability where the conditions in Article 38 (3) are met) -

36 (1) (c), 38, 48, 470,

472 (5)

Applicable caps on the inclusion of provisions in Tier 2

76

Credit risk adjustments included in T2 in respect of exposures subject to standardised ap-

proach (prior to the application of the cap) 12.4 62

77 Cap on inclusion of credit risk adjustments in T2 under standardised approach 40.4 62

78

Credit risk adjustments included in T2 in respect of exposures subject to internal rating-based

approach (prior to the application of the cap) - 62

79 Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach - 62

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022)

80 - Current cap on CET1 instruments subject to phase-out arrangements N/A 484 (3), 486 (2) & (5)

81 - Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) N/A 484 (3), 486 (2) & (5)

82 - Current cap on AT1 instruments subject to phase-out arrangements N/A 484 (4), 486 (3) & (5)

83 - Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) N/A 484 (4), 486 (3) & (5)

84 - Current cap on T2 instruments subject to phase-out arrangements N/A 484 (5), 486 (4) & (5)

85 - Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) N/A 484 (5), 486 (4) & (5)

ICICI Bank UK PLC


March 31, 2019 Main features of the capital instruments Annexure II

1 Issuer ICICI Bank UK Plc ICICI Bank UK Plc ICICI Bank UK Plc ICICI Bank UK Plc

2

Unique identifier (e.g. CUSIP, ISIN or

Bloomberg identifier for private place-

ment) Ordinary Shares USD Ordinary Shares GBP XS0561859926 XS1881532912

3 Governing law(s) of the instrument English English English English

Regulatory treatment

4 Transitional CRR rules Common Equity Tier 1 Common Equity Tier 1 Tier 2 Tier 2

5 Post-transitional CRR rules Common Equity Tier 1 Common Equity Tier 1 Tier 2 Tier 2

6

Eligible at solo/(sub-)consolidated/ so-

lo&(sub-)consolidated Solo Solo Solo Solo

7 Instrument type Ordinary Share Capital Ordinary Share Capital

Dated Subordinated

Bonds

Dated Subordinated

Bonds with issuer call

8 Amount recognised in regulatory capital USD 420.00 million USD 0.10 million USD 47.5 million USD 73.8 million

9 Nominal amount of instrument USD 420.00 million GBP 0.05 million USD 150.0 million SGD 100.0 million

9a Issue price USD 1.00 per share GBP 1.00 per share 100.00% 100.00%

9b Redemption price N/A N/A 100.00% 100.00%

10 Accounting classification Shareholder's equity Shareholder's equity

Liability - amortised

cost Liability - amortised cost

11 Original date of issuance 01-Aug-03 28-Apr-03 23-Nov-10 26-Sep-18

12 Perpetual or dated Perpetual Perpetual Dated

Dated with Issuer call

option

13 Original maturity date no maturity no maturity 23-Nov-20 26-Sep-28

14

Issuer call subject to prior supervisory ap-

proval No No No Yes

15

Optional call date, contingent call dates

and redemption amount N/A N/A N/A

26-Sep-23; Redemption

at par

16 Subsequent call dates, if applicable N/A N/A N/A

At each interest payment

date

Coupons / dividends

17 Fixed or floating dividend/coupon Floating Floating Fixed Fixed

ICICI Bank UK PLC


March 31, 2019

39

18 Coupon rate and any related index N/A N/A 7.0000%

5.3750% till 26-Sep-24,

thereafter Singapore dol-

lar swap offer rates plus

2.9950%

19 Existence of a dividend stopper N/A N/A N/A N/A

20

a Fully discretionary, partially discretion-

ary or mandatory (in terms of timing) Fully discretionary Fully discretionary Mandatory Mandatory

20

b Fully discretionary, partially discretion-

ary or mandatory (in terms of amount) Fully discretionary Fully discretionary Mandatory Mandatory

21

Existence of step up or other incentive to

redeem No No No No

22 Noncumulative or cumulative Noncumulative Noncumulative Noncumulative Noncumulative

23 Convertible or non-convertible Non-convertible Non-convertible Non-convertible Non-convertible

24 If convertible, conversion trigger(s) N/A N/A N/A N/A

25 If convertible, fully or partially N/A N/A N/A N/A

26 If convertible, conversion rate N/A N/A N/A N/A

27

If convertible, mandatory or optional con-

version N/A N/A N/A N/A

28

If convertible, specify instrument type

convertible into N/A N/A N/A N/A

29

If convertible, specify issuer of instrument

it converts into N/A N/A N/A N/A

30 Write-down features No No No Yes

31 If write-down, write-down trigger(s) N/A N/A N/A

A decision that the Bank

or its Parent Bank (as the

case may be) would be-

come non-viable either

without a write-down of

bonds or without injec-

tion of capital from pub-

lic sector / equivalent

support, as determined

ICICI Bank UK PLC


March 31, 2019

40

by RBI and provided that

the local regulator does

not object to such de-

termination

32 If write-down, full or partial N/A N/A N/A Full

33 If write-down, permanent or temporary N/A N/A N/A Permanent

34

If temporary write-down, description of

write-up mechanism N/A N/A N/A N/A

35

Position in subordination hierarchy in liq-

uidation (specify instrument type immedi-

ately Senior to instrument)

Perpetual Deeply Sub-

ordinated Debt

Perpetual Deeply Sub-

ordinated Debt

Unsecured and Un-

subordinated Debt

Unsecured and Un-

subordinated Debt

36 Non-compliant transitioned features No No No No

37 If yes, specify non-compliant features N/A N/A N/A N/A

ICICI Bank UK PLC


March 31, 2019 Annexure III

Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer

USD million

10

Breakdown by

country:

General credit ex-

posures

Trading book ex-

posures

Securitisation

exposures Own funds requirement

Expo-

sure

value

for SA

Expo-

sure

value

for IRB

Sum of

long

and

short

posi-

tions of

trading

book

expo-

sures

for SA

Value of

trading

book

expo-

sures for

internal

models

Expo-

sure

value

for SA

Expo-

sure

value

for IRB

of which:

General

credit ex-

posures

of

which:

Trading

book

expo-

sures

of which:

Securiti-

sation

expo-

sures Total

Own funds

require-

ments

weights

Countercy-

clical

capital buff-

er rate

Country 010 020 030 040 050 060 070 080 090 100 110 120

United Arab

Emirates

37.7 - - - - - 1.6 - - 1.6 0.664% 0.000%

Austria 16.8 - - - - - 1.3 - - 1.3 0.560% 0.000%

Australia 0.1 - - - - - 0.0 - - 0.0 0.001% 0.000%

Belgium 26.3 - - - - - 2.0 - - 2.0 0.837% 0.000%

Canada 26.8 - - - - - 1.2 - - 1.2 0.498% 0.000%

Switzerland 138.8 - - - - - 2.8 - - 2.8 1.149% 0.000%

Curacao 10.5 - - - - - 0.8 - - 0.8 0.350% 0.000%

Cyprus 6.5 - - - - - 0.5 - - 0.5 0.215% 0.000%

Germany 286.2 - - - - - 9.3 - - 9.3 3.859% 0.000%

Denmark 13.2 - - - - - 0.2 - - 0.2 0.097% 0.500%

Spain 20.2 - - - - - 1.4 - - 1.4 0.564% 0.000%

France 138.2 - - - - - 3.1 - - 3.1 1.278% 0.000%

ICICI Bank UK PLC


March 31, 2019

42

United King-

dom

891.5 - - - 44.1 - 62.9 - 2.2 65.1 27.109% 1.000%

Guernsey 22.7 - - - - - 1.8 - - 1.8 0.755% 0.000%

Hong Kong 32.0 - - - - - 2.6 - - 2.6 1.066% 2.500%

Hungary 1.5 - - - - - 0.0 - - 0.0 0.010% 0.000%

Ireland 30.2 - - - - - 2.3 - - 2.3 0.962% 0.000%

Isle of Man 5.1 - - - - - 0.4 - - 0.4 0.169% 0.000%

India 271.7 - - - - - 21.7 - - 21.7 9.014% 0.000%

Italy 55.5 - - - - - 4.4 - - 4.4 1.848% 0.000%

Jersey 154.7 - - - - - 12.4 - - 12.4 5.164% 0.000%

Luxembourg 176.6 - - - - - 10.3 - - 10.3 4.276% 0.000%

Mauritius 155.4 - - - - - 12.4 - - 12.4 5.173% 0.000%

Malaysia 21.6 - - - - - 2.6 - - 2.6 1.078% 0.000%

Netherlands 273.9 - - - - - 18.6 - - 18.6 7.748% 0.000%

Sweden 0.0 - - - - - 0.0 - - 0.0 0.000% 2.000%

Singapore 29.9 - - - - - 2.4 - - 2.4 0.983% 0.000%

Turkey 1.3 - - - - - 0.1 - - 0.1 0.043% 0.000%

Taiwan 6.1 - - - - - 0.5 0.5 0.202% 0.000%

United States

of America

895.3 - - - - - 58.4 - - 58.4 24.323% 0.000%

British Virgin

Islands

0.5 - - - - - 0.0 - - 0.0 0.006% 0.000%

South Africa - - - - - - - - - - 0.000% 0.000%

20 Total 3,746.8 - - - 44.1 - 238.1 - 2.2 240.3 100.000%

ICICI Bank UK PLC


March 31, 2019

43

Table 2 - Amount of institution-specific

countercyclical capital buffer

Row Description

Column

10

10

Total risk exposure

amount (RWAs)

3,424.3

20

Institution specific coun-

tercyclical capital buffer

rate 0.298%

30

Institution specific coun-

tercyclical capital buffer

requirement

10.2

ICICI Bank UK PLC


March 31, 2019

44

Annexure IV

Disclosure on Asset encumbrance

The tables below show components of Banks encumbered and unencumbered assets for the year ended March 31, 2019. The below

tables are based on UK GAAP and median values computed over the preceding four quarters of the last twelve months.

Table A: Encumbered and Unencumbered Assets

USD million

Carrying amount

of encumbered

assets

Fair value of

encumbered

assets

Carrying amount of

unencumbered

assets

Fair value of

unencumbered

assets

010 040 060 090

010 Assets of the reporting institution 507.6

3,393.6

030 Equity instruments -

6.5

040 Debt securities 320.3 327.4 613.9 612.8

050 of which: covered bonds - - - -

060 of which: asset-backed securities 45.6 53.2 - -

070 of which: issued by general governments 80.5 81.0 163.0 162.9

080 of which: issued by financial corporations 135.6 134.9 161.8 161.5

090 of which: issued by non-financial corporations 62.7 62.9 258.7 258.1

120 Other assets 181.3

2,793.5

121 of which: …

ICICI Bank UK PLC


March 31, 2019

45

Table B: Collateral Received

USD million

Fair value of encumbered

collateral received or own

debt securities issued

Fair value of collateral received or

own debt securities issued

available for encumbrance

010 040

130 Collateral received by the reporting institution 72.7

140 Loans on demand -

150 Equity instruments -

160 Debt securities : 72.7

170 of which: covered bonds -

180 of which: asset-backed securities 72.7

190 of which: issued by general governments -

200 of which: issued by financial corporations -

210 of which: issued by non-financial corporations -

220 Loans and advances other than loans on demand -

230 Other collateral received -

231 of which: …

240 Own debt securities issued other than own covered bonds or asset-backed

securities -

241 Own covered bonds and asset-backed securities issued and not yet pledged

250 TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES

ISSUED 581.5

ICICI Bank UK PLC


March 31, 2019

46

Template C: Sources of encumbrance

USD million

Template D: Accompanying narrative information

Asset encumbrance is the process by which assets are pledged in order to secure, collateralise or credit-enhance a financial transaction from which

they cannot be freely withdrawn.

Asset encumbrance is an integral part of ICICI Bank’s liquidity, funding and collateral management process. The majority of Bank encumbrance is driven

by secured financing activities, which include transactions in repo, securities lending and loans lend as security for Borrowing.

At ICICI Bank UK Plc, encumbrance of investment asset is on account of Repurchase transactions, eligible loans portfolio on accounts of funding from

central banks and borrowings.

The above tables are based on UK GAAP and median values computed over the preceding four quarters of the last twelve months.

Asset encumbrance reporting is done based on regulatory guidelines and as such may differ to the asset encumbrance disclosures presented in the

Annual Report.

Matching liabilities, contingent

liabilities or securities lent

Assets, collateral received and own

debt securities issued other than covered

bonds and ABSs encumbered

010 030

010 Carrying amount of selected financial liabilities 508.7 569.1

011 of which: … Repurchase Agreement 192.1 228.5

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